English, Article, Journal or magazine article edition: The Determinants of Bank Interest Spread in Brazil Tarsila Segalla Afanasieff; Priscilla Maria Villa Lhacer; Márcio Issao Nakane

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Bookmark: http://trove.nla.gov.au/version/169220
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Determinants of Bank Interest Spread in Brazil
Author
  • Tarsila Segalla Afanasieff
  • Priscilla Maria Villa Lhacer
  • Márcio Issao Nakane
Physical Description
  • preprint
Notes
  • The behavior of bank interest spreads in Brazil reveal two stylized facts. First, a remarkable fall in the average rates since early 1999. Second, a strong and persistent dispersion of rates across banks. Such stylized facts suggest that both the time series and the cross section dimensions are important elements to understand the trend of the bank interest spread in the country. This paper makes use of panel data techniques to uncover the main determinants of the bank interest spreads in Brazil. A question that the paper aims to address is whether macro or microeconomic factors are the most relevant ones affecting the behavior of such rates. A two-step approach due to Ho and Saunders (1981) is employed to measure the relative relevance of the micro and the macro elements. The roles played by the inflation rate; risk premium, economic activity, required reserves (all macroeconomic factors) and CAMEL-type indicators (microeconomic factors) are highlighted. The results suggest that macroeconomic variables are the most relevant factors to explain the behavior of bank interest spread in Brazil.
  • RePEc:bcb:wpaper:46
  • RePEc:anp:en2001:051
Language
  • English
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